Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 20 is Best) | 9 | 7 | 5 |
| Score | -1.81 | -2.91 | -4.2 |
| Market Cap (Millions USD) | 60494.49 | 58269.45 | 57933.43 |
| Predicted Beta | 0.48 | 0.48 | 0.5 |
| Idiosyncratic Volatility | 1.92 | 1.65 | 2.79 |
Annualized return and volatility
| EFA | |
|---|---|
| Annualized Return | 0.0528 |
| Annualized Std Dev | 0.2111 |
| Annualized Sharpe (Rf=0%) | 0.2502 |
Row
Daily Return Statistics
| EFA | |
|---|---|
| Observations | 4690.0000 |
| NAs | 424.0000 |
| Minimum | -0.1116 |
| Quartile 1 | -0.0054 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0065 |
| Maximum | 0.1589 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0002 |
| Stdev | 0.0133 |
| Skewness | 0.1483 |
| Kurtosis | 13.3633 |
Downside Risk
| EFA | |
|---|---|
| Semi Deviation | 0.0096 |
| Gain Deviation | 0.0097 |
| Loss Deviation | 0.0104 |
| Downside Deviation (MAR=210%) | 0.0142 |
| Downside Deviation (Rf=0%) | 0.0094 |
| Downside Deviation (0%) | 0.0094 |
| Maximum Drawdown | 0.6104 |
| Historical VaR (95%) | -0.0200 |
| Historical ES (95%) | -0.0320 |
| Modified VaR (95%) | -0.0174 |
| Modified ES (95%) | -0.0174 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-11-01 | 2009-03-09 | 2014-06-06 | -0.6104 | 1690 | 348 | 1342 |
| 2001-08-28 | 2003-03-12 | 2003-10-14 | -0.3130 | 544 | 392 | 152 |
| 2014-07-07 | 2016-02-11 | 2017-05-04 | -0.2311 | 726 | 413 | 313 |
| 2018-01-29 | 2018-12-24 | NA | -0.2207 | 490 | 233 | NA |
| 2006-05-10 | 2006-06-13 | 2006-10-26 | -0.1576 | 121 | 24 | 97 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | EFA | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | NA | NA | NA | NA | NA | NA | 0.0 | -0.5 | 2.1 | 0.0 | 0.0 | 1.6 |
| 2002 | -0.2 | 1.9 | 0.6 | 0.5 | 0.0 | -0.8 | -3.5 | 0.0 | 2.4 | 1.6 | 0.0 | 0.0 | 2.4 |
| 2003 | 0.0 | 0.0 | 1.6 | 0.4 | 0.0 | 0.6 | 0.0 | 0.0 | 3.3 | 0.0 | 2.0 | 0.0 | 8.0 |
| 2004 | 0.0 | 1.3 | 1.3 | 0.0 | 0.2 | -1.3 | 0.0 | 0.1 | 1.6 | 0.2 | 1.7 | 0.0 | 5.3 |
| 2005 | 0.6 | 0.6 | -0.2 | 0.0 | 0.6 | -0.1 | 1.0 | 1.2 | 0.0 | 0.9 | 1.9 | 0.0 | 6.5 |
| 2006 | 0.3 | 1.0 | 0.0 | 0.0 | 0.6 | 0.0 | -0.7 | 0.7 | 0.0 | -0.2 | -0.1 | 0.0 | 1.7 |
| 2007 | 0.8 | -1.0 | 0.0 | -0.1 | 0.7 | 0.0 | 0.2 | 0.0 | 1.3 | -2.1 | 0.0 | 0.0 | -0.3 |
| 2008 | 1.7 | 0.0 | 3.2 | 0.6 | 0.0 | -1.1 | -1.5 | 0.0 | -0.7 | 0.0 | -8.2 | 0.0 | -6.3 |
| 2009 | 0.0 | 0.0 | 2.6 | 1.2 | 2.5 | 1.7 | 0.0 | -2.5 | -2.6 | 0.0 | 2.7 | 0.0 | 5.5 |
| 2010 | 1.8 | 0.8 | 1.8 | 0.0 | -1.0 | 1.5 | 0.0 | 3.6 | 1.0 | -0.4 | 2.8 | 0.0 | 12.4 |
| 2011 | 2.4 | -1.4 | 0.9 | 0.0 | -2.4 | 1.1 | -1.3 | -1.2 | 0.0 | -3.1 | -0.9 | 0.0 | -5.8 |
| 2012 | 1.6 | 1.1 | 0.0 | 0.4 | -2.5 | 0.0 | 0.0 | 0.0 | 0.8 | 1.2 | 0.0 | 0.0 | 2.6 |
| 2013 | 0.8 | -0.2 | -1.3 | -0.6 | 0.0 | 0.9 | 1.4 | 0.0 | 0.5 | -0.5 | 0.0 | 0.0 | 1.0 |
| 2014 | 0.0 | 0.0 | 0.6 | 0.3 | 0.0 | 0.9 | -0.7 | 0.0 | -1.2 | 0.0 | -0.1 | 0.0 | -0.2 |
| 2015 | 0.0 | 0.0 | 0.7 | 1.1 | -0.3 | 0.6 | 0.0 | -3.4 | 0.3 | 0.0 | 1.1 | 0.0 | 0.1 |
| 2016 | -0.1 | 2.6 | -1.1 | 0.0 | -0.1 | 0.0 | -0.7 | 0.7 | 0.0 | -0.4 | -0.4 | 0.0 | 0.5 |
| 2017 | 0.4 | 1.0 | 0.0 | 0.4 | 0.7 | 0.0 | 0.6 | 0.1 | 0.0 | 0.1 | -0.4 | 0.0 | 2.9 |
| 2018 | 0.3 | -1.7 | 0.0 | -0.4 | 0.9 | 0.0 | -0.5 | 0.0 | 0.1 | 1.3 | 0.0 | 0.0 | 0.0 |
| 2019 | 0.0 | 0.5 | 1.3 | -0.6 | 0.0 | 0.5 | -0.3 | 0.0 | -1.0 | 0.9 | 0.0 | -0.1 | 1.2 |
Row
Rolling Performance Chart
Snail Trail Chart
